Thanks, Shawn. I'll give that a shot and report back.
Update: I admit that I'm not the brightest bulb in the lamp so I got confused with Option 2.
I opened FileTypeManager again and I noticed that for some reason, Nero Wave Editor was the default program to open these files. That's wrong... I want Winamp to open them.
I opened Winamp, reset my file associations to make sure that .wavs and .mp3s are opened with it, then went back to FileTypeManager and tried again.
Presto... Win95 quartz.dll blue speaker for .mp3, Play arrow and four colors from WMP10 for .wavs. Done!